Authorities in Long Island are investigating how shredded confidential police documents ended up as confetti in the annual Macy's Thanksgiving Day parade in New York City, according to Nassau County Police.

Saul Finkelstein, a Manhattan attorney, was watching the renowned parade with his 18-year-old son Ethan, as they do every year, when they noticed a piece of shredded paper that appeared to have a Social Security number on it.

"There were shredded papers all over the place, like snowball size, all over the ground," Finkelstein said. "There were whole sentences, license plate numbers and police reports."

As they looked closer at the confetti, they came to realize the shredded pieces of paper were documents from the Nassau County Police Department.

On Sunday, Nassau County Police detectives came to Finkelstein's home as part of an investigation into how the documents made their way from Long Island to Manhattan and ended up in the parade.

Photos: Macy's Thanksgiving Day Parade 26 photos

Photos: Macy's Thanksgiving Day Parade26 photos

Macy's Thanksgiving Day Parade – The Spiderman balloon makes its way down Sixth Avenue during the 86th Annual Macy's Thanksgiving Day Parade in New York on Thursday, November 22. A holiday staple, the parade draws a crowd of more than 3 million people annually.

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Photos: Macy's Thanksgiving Day Parade26 photos

Macy's Thanksgiving Day Parade – People along Sixth Avenue cheer during the Macy's Thanksgiving Day Parade. This year Macy's donated tickets and transportation to the parade to 5,000 people from neighborhoods hardest hit by Superstorm Sandy.

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Macy's Thanksgiving Day Parade – The band from North Carolina Agricultural and Technical State University makes its way through the streets of Manhattan during the parade.

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Macy's Thanksgiving Day Parade – The Kung Fu Panda balloon is lifted at the start of the parade.

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Macy's Thanksgiving Day Parade – People climb for a better position to watch the Macy's Thanksgiving Day Parade.

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Macy's Thanksgiving Day Parade – The Santa Claus float marks the parade's finale, heralding the start of the Christmas season.

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Macy's Thanksgiving Day Parade – People watch the Kermit the Frog balloon make its way down Central Park West during the parade.

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Macy's Thanksgiving Day Parade – An emergency rescue crew attends to a man dressed as a clown who collapsed during the parade.

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Macy's Thanksgiving Day Parade – People watch as the parade makes its way down the streets of New York.

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Macy's Thanksgiving Day Parade – The Charlie Brown balloon is carried along the parade route.

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Macy's Thanksgiving Day Parade – People hand out balloons on 72nd Street before the parade.

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Macy's Thanksgiving Day Parade – People line up in Central Park West on Thursday in anticipation for the parade.

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Macy's Thanksgiving Day Parade – Parade staffers inflate an Uncle Sam balloon in Manhattan's Upper West Side on Wednesday, November 21.

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Macy's Thanksgiving Day Parade – A Charlie Brown float is ready to go on Wednesday.

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Macy's Thanksgiving Day Parade – Crew members work on a balloon on Wednesday.

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Macy's Thanksgiving Day Parade – On Thursday, parade staff have an audience as they inflate balloons.

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Macy's Thanksgiving Day Parade – The cast from the Broadway musical "Elf" rehearses for the parade at Macy's Herald Square store Monday, November 19, in New York.

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Macy's Thanksgiving Day Parade – Power Rangers Megaforce figures take action Monday, the first day of parade rehearsals.

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Macy's Thanksgiving Day Parade – Spirit of America cheerleaders get ready at Macy's Herald Square store in New York.

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Macy's Thanksgiving Day Parade – The Spirit of America cheerleaders perform in advance of Thursday's parade.

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Macy's Thanksgiving Day Parade – The King Charles Unicycle Troupe of the Bronx performs a double dutch routine.

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Macy's Thanksgiving Day Parade – Santino Fontana as Prince Charming gives Laura Osnes as Cinderella a twirl during rehearsals for the cast of the Broadway musical "Cinderella."

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Macy's Thanksgiving Day Parade – The Broadway cast of Rodgers and Hammerstein's "Cinderella" rehearses for the Macy's parade.

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Macy's Thanksgiving Day Parade – The Texas State University Strutters of San Marcos, Texas, show their stuff during rehearsals.

Macy's Thanksgiving Day Parade – Leonardo, Donatello, Raphael and Michelangelo are on hand for the unveiling of the "Teenage Mutant Ninja Turtle" float on November 13 at the Macy's Parade Studio in Moonachie, New Jersey. The float, based on the new Nickelodeon series, will make its premiere in the Macy's Thanksgiving Day Parade on Thursday.

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EXPAND GALLERY

"The Nassau County Police Department is very concerned about this situation. We will be conducting an investigation into this matter as well as reviewing our procedures for the disposing of sensitive documents," said Inspector Kenneth W. Lack.

"The fact they sent two people on a Sunday night all the way from Nassau County means they must be trying to figure this out," Finkelstein said.

Most shocking was that on the scraps of paper were pieces of sensitive information, including the names, dates of birth, Social Security numbers, banking data, and other personal information about Nassau county police officers and detectives, some of whom are believed to be undercover, according to CNN affiliate WPIX, whom Finkelstein contacted along with the police after finding the pieces of sensitive material on Thursday.

Also found were notes about Mitt Romney's motorcade from the final presidential debate, which took place at Hofstra University in Nassau County in October.

Orlando Veras, a spokesman for Macy's, says the company has no knowledge of how the shredded documents came to be used as confetti.

"Macy's uses commercially manufactured multi-colored confetti, not shredded, homemade or printed paper of any kind in the parade," he said, adding, "It is not unusual for spectators to bring and throw their own confetti in the direction of parade participants from the sidelines."